Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C13: Estimation: General

2012

• Robinson, Peter M. & Thawornkaiwong, Supachoke, 2012, "Statistical inference on regression with spatial dependence," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 521-542, DOI: 10.1016/j.jeconom.2011.09.033.
• Su, Liangjun, 2012, "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 543-560, DOI: 10.1016/j.jeconom.2011.09.034.
• Kumbhakar, Subal C. & Parmeter, Christopher F. & Tsionas, Efthymios G., 2012, "Bayesian estimation approaches to first-price auctions," Journal of Econometrics, Elsevier, volume 168, issue 1, pages 47-59, DOI: 10.1016/j.jeconom.2011.09.005.
• Horowitz, Joel L. & Lee, Sokbae, 2012, "Uniform confidence bands for functions estimated nonparametrically with instrumental variables," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 175-188, DOI: 10.1016/j.jeconom.2011.12.001.
• Onatski, Alexei, 2012, "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 244-258, DOI: 10.1016/j.jeconom.2012.01.034.
• Hamilton, James D. & Wu, Jing Cynthia, 2012, "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 315-331, DOI: 10.1016/j.jeconom.2012.01.035.
• Čížek, Pavel, 2012, "Semiparametric robust estimation of truncated and censored regression models," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 347-366, DOI: 10.1016/j.jeconom.2012.02.002.
• Frandsen, Brigham R. & Frölich, Markus & Melly, Blaise, 2012, "Quantile treatment effects in the regression discontinuity design," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 382-395, DOI: 10.1016/j.jeconom.2012.02.004.
• Su, Liangjun & Jin, Sainan, 2012, "Sieve estimation of panel data models with cross section dependence," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 34-47, DOI: 10.1016/j.jeconom.2012.01.006.
• Robinson, Peter M., 2012, "Nonparametric trending regression with cross-sectional dependence," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 4-14, DOI: 10.1016/j.jeconom.2012.01.005.
• Bartolucci, Francesco & Nigro, Valentina, 2012, "Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 102-116, DOI: 10.1016/j.jeconom.2012.03.004.
• Baltagi, Badi H. & Feng, Qu & Kao, Chihwa, 2012, "A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 164-177, DOI: 10.1016/j.jeconom.2012.04.004.
• Koo, Bonsoo & Linton, Oliver, 2012, "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 210-233, DOI: 10.1016/j.jeconom.2012.05.003.
• Tsionas, Efthymios G., 2012, "Maximum likelihood estimation of stochastic frontier models by the Fourier transform," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 234-248, DOI: 10.1016/j.jeconom.2012.04.001.
• Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012, "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 76-91, DOI: 10.1016/j.jeconom.2012.02.007.
• Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012, "Regression towards the mode," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 92-101, DOI: 10.1016/j.jeconom.2012.03.002.
• Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012, "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 281-302, DOI: 10.1016/j.jeconom.2012.05.006.
• Peñaranda, Francisco & Sentana, Enrique, 2012, "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 303-324, DOI: 10.1016/j.jeconom.2012.05.007.
• Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012, "GEL statistics under weak identification," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 331-349, DOI: 10.1016/j.jeconom.2012.05.009.
• Antoine, Bertille & Renault, Eric, 2012, "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 350-367, DOI: 10.1016/j.jeconom.2012.05.010.
• Caner, Mehmet & Yıldız, Neşe, 2012, "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 422-441, DOI: 10.1016/j.jeconom.2012.05.014.
• Gospodinov, Nikolay & Otsu, Taisuke, 2012, "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 476-490, DOI: 10.1016/j.jeconom.2012.05.017.
• Anderson, Gordon & Linton, Oliver & Whang, Yoon-Jae, 2012, "Nonparametric estimation and inference about the overlap of two distributions," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 1-23, DOI: 10.1016/j.jeconom.2012.05.001.
• Chen, Jia & Gao, Jiti & Li, Degui, 2012, "Semiparametric trending panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2012.07.001.
• Simar, Léopold & Vanhems, Anne & Wilson, Paul W., 2012, "Statistical inference for DEA estimators of directional distances," European Journal of Operational Research, Elsevier, volume 220, issue 3, pages 853-864, DOI: 10.1016/j.ejor.2012.02.030.
• Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012, "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, volume 222, issue 1, pages 85-95, DOI: 10.1016/j.ejor.2012.04.003.
• Langrock, Roland & MacDonald, Iain L. & Zucchini, Walter, 2012, "Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 147-161, DOI: 10.1016/j.jempfin.2011.09.003.
• Candelon, B. & Hurlin, C. & Tokpavi, S., 2012, "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 511-527, DOI: 10.1016/j.jempfin.2012.04.010.
• Gospodinov, Nikolay & Hirukawa, Masayuki, 2012, "Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 595-609, DOI: 10.1016/j.jempfin.2012.04.001.
• McCulloch, James, 2012, "Fractal market time," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 686-701, DOI: 10.1016/j.jempfin.2012.08.001.
• Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012, "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 741-761, DOI: 10.1016/j.jempfin.2012.08.003.
• Wang, H. & Zhou, P. & Zhou, D.Q., 2012, "An empirical study of direct rebound effect for passenger transport in urban China," Energy Economics, Elsevier, volume 34, issue 2, pages 452-460, DOI: 10.1016/j.eneco.2011.09.010.
• Labandeira, Xavier & Labeaga, José M. & López-Otero, Xiral, 2012, "Estimation of elasticity price of electricity with incomplete information," Energy Economics, Elsevier, volume 34, issue 3, pages 627-633, DOI: 10.1016/j.eneco.2011.03.008.
• Bildirici, Melike E. & Kayıkçı, Fazıl, 2012, "Economic growth and electricity consumption in former Soviet Republics," Energy Economics, Elsevier, volume 34, issue 3, pages 747-753, DOI: 10.1016/j.eneco.2012.02.010.
• Wang, Zhaohua & Yang, Zhongmin & Zhang, Yixiang & Yin, Jianhua, 2012, "Energy technology patents–CO2 emissions nexus: An empirical analysis from China," Energy Policy, Elsevier, volume 42, issue C, pages 248-260, DOI: 10.1016/j.enpol.2011.11.082.
• Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012, "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, volume 9, issue 3, pages 121-134, DOI: 10.1016/j.frl.2012.06.001.
• Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012, "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, volume 8, issue 3, pages 193-205, DOI: 10.1016/j.jfs.2011.10.004.
• Yoder, Jonathan & Gebert, Krista, 2012, "An econometric model for ex ante prediction of wildfire suppression costs," Journal of Forest Economics, Elsevier, volume 18, issue 1, pages 76-89, DOI: 10.1016/j.jfe.2011.10.003.
• Kristensen, Troels & Olsen, Kim Rose & Kilsmark, Jannie & Lauridsen, Jørgen T. & Pedersen, Kjeld Møller, 2012, "Economies of scale and scope in the Danish hospital sector prior to radical restructuring plans," Health Policy, Elsevier, volume 106, issue 2, pages 120-126, DOI: 10.1016/j.healthpol.2012.04.001.
• Carare, Octavian & Zentner, Alejandro, 2012, "Program substitutability in network television: Evidence from Argentina," Information Economics and Policy, Elsevier, volume 24, issue 2, pages 145-160, DOI: 10.1016/j.infoecopol.2012.02.004.
• Bax, Eric & Kuratti, Anand & Mcafee, Preston & Romero, Julian, 2012, "Comparing predicted prices in auctions for online advertising," International Journal of Industrial Organization, Elsevier, volume 30, issue 1, pages 80-88, DOI: 10.1016/j.ijindorg.2011.06.001.
• Ahčan, Aleš, 2012, "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 131-138, DOI: 10.1016/j.insmatheco.2011.10.005.
• Pešta, Michal & Hudecová, Šárka, 2012, "Asymptotic consistency and inconsistency of the chain ladder," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 472-479, DOI: 10.1016/j.insmatheco.2012.07.004.
• Del Brio, Esther B. & Perote, Javier, 2012, "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 531-537, DOI: 10.1016/j.insmatheco.2012.07.005.
• Lee, David & Li, Wai Keung & Wong, Tony Siu Tung, 2012, "Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 538-550, DOI: 10.1016/j.insmatheco.2012.07.008.
• Kaeck, Andreas & Alexander, Carol, 2012, "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3110-3121, DOI: 10.1016/j.jbankfin.2012.07.012.
• Chavez-Demoulin, V. & McGill, J.A., 2012, "High-frequency financial data modeling using Hawkes processes," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3415-3426, DOI: 10.1016/j.jbankfin.2012.08.011.
• Xing, Haipeng & Sun, Ning & Chen, Ying, 2012, "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 78-89, DOI: 10.1016/j.jbankfin.2011.06.005.
• Yan, Yuxing & Zhang, Shaojun, 2012, "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 454-467, DOI: 10.1016/j.jbankfin.2011.08.003.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012, "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1354-1361, DOI: 10.1016/j.jbankfin.2011.11.023.
• Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012, "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2522-2531, DOI: 10.1016/j.jbankfin.2012.05.005.
• Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
• Michaelides, Panayotis G. & Papageorgiou, Theofanis, 2012, "On the transmission of economic fluctuations from the USA to EU-15 (1960–2011)," Journal of Economics and Business, Elsevier, volume 64, issue 6, pages 427-438, DOI: 10.1016/j.jeconbus.2012.08.003.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012, "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 114-131, DOI: 10.1016/j.jfineco.2012.05.005.
• Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
• Galdo, Jose & Chong, Alberto, 2012, "Does the quality of public-sponsored training programs matter? Evidence from bidding processes data," Labour Economics, Elsevier, volume 19, issue 6, pages 970-986, DOI: 10.1016/j.labeco.2012.08.001.
• Charfeddine, Lanouar & Guégan, Dominique, 2012, "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 22, pages 5712-5726, DOI: 10.1016/j.physa.2012.06.036.
• Février, Philippe & Linnemer, Laurent & Visser, Michael, 2012, "Testing for asymmetric information in the viager market," Journal of Public Economics, Elsevier, volume 96, issue 1, pages 104-123, DOI: 10.1016/j.jpubeco.2011.08.010.
• Le Gallo, Julie & Fingleton, Bernard, 2012, "Measurement errors in a spatial context," Regional Science and Urban Economics, Elsevier, volume 42, issue 1-2, pages 114-125, DOI: 10.1016/j.regsciurbeco.2011.08.004.
• Hamouda, Yasmina Abdellatif, 2012, "Wind energy in Egypt: Economic feasibility for Cairo," Renewable and Sustainable Energy Reviews, Elsevier, volume 16, issue 5, pages 3312-3319, DOI: 10.1016/j.rser.2012.02.058.
• Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012, "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 115-129, DOI: 10.1016/j.iref.2011.05.001.
• Al Janabi, Mazin A.M., 2012, "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, volume 21, issue 3, pages 131-140, DOI: 10.1016/j.rfe.2012.06.007.
• Henderson, Daniel J. & Parmeter, Christopher F., 2012, "Normal reference bandwidths for the general order, multivariate kernel density derivative estimator," Statistics & Probability Letters, Elsevier, volume 82, issue 12, pages 2198-2205, DOI: 10.1016/j.spl.2012.07.020.
• Cai, Zongwu & Fang, Ying & Su, Jia, 2012, "Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information," Statistics & Probability Letters, Elsevier, volume 82, issue 1, pages 180-185, DOI: 10.1016/j.spl.2011.09.020.
• Ana Paula Martins, 2012, "Segmented Life-cycle Labor Markets," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 1, pages 39-74.
• George Adu & George Marbuah & Justice Tei Mensah & Prince Boakye Frimpong, 2012, "Macroeconomic Development and Stock Market Performance: A Non-Parametric Approach," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 3, pages 100-129.
• Weshah Razzak & Elmostafa Bentour, 2012, "Do Developing Countries Benefit from Foreign Direct Investments?," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_07, Apr.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.
• Mehmet KARACUKA & A.Nazif CATIK, 2012, "Diffusion of Telecommunication Services in Turkey," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 4, pages 497-510.
• Dorothée Boccanfuso & Patrick Richard & Luc Savard, 2012, "Parametric and nonparametric income distribution estimators in CGE micro-simulation modeling," EcoMod2012, EcoMod, number 4631, Jul.
• Noriega, Antonio E. & Rodríguez, Cid Alonso, 2012, "Estacionariedad, cambios estructurales y crecimiento económico en México (1895-2008)," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 314, pages 333-378, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Melo, Luis Fernando & Granados, Joan Camilo, 2012, "Expectativas y prima por riesgo inflacionario con una medida de compensación a la inflación," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 316, pages 839-864, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Enrique Martínez-García & Diego Vilán & Mark A. Wynne, 2012, "Bayesian Estimation of NOEM Models: Identification and Inference in Small Samples," Advances in Econometrics, Emerald Group Publishing Limited, "DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments", DOI: 10.1108/S0731-9053(2012)0000028007.
• John C. Chao & Jerry A. Hausman & Whitney K. Newey & Norman R. Swanson & Tiemen Woutersen, 2012, "Combining Two Consistent Estimators," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Jerry Hausman", DOI: 10.1108/S0731-9053(2012)0000029007.
• John C. Chao & Jerry A. Hausman & Whitney K. Newey & Norman R. Swanson & Tiemen Woutersen, 2012, "An Expository Note on the Existence of Moments of Fuller and HFUL Estimators," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Jerry Hausman", DOI: 10.1108/S0731-9053(2012)0000029009.
• Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2012, "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Jerry Hausman", DOI: 10.1108/S0731-9053(2012)0000029020.
• Badi H. Baltagi & Chihwa Kao & Long Liu, 2012, "On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Advances in Econometrics, Emerald Group Publishing Limited, "30th Anniversary Edition", DOI: 10.1108/S0731-9053(2012)0000030012.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012, "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 27, issue 1, pages 99-132.
• Fredy Yair Montes Rivera & Paulino Pérez Rodríguez & Sergio Pérez Elizalde, 2012, "Ajuste del ingreso en México con un enfoque bayesiano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 27, issue 2, pages 273-293.
• Jan R. Magnus & Karen Poghosyan, 2012, "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 40-58, April.
• Richard E. Just & Rulon D. Pope, 2012, "Cost Function Estimation with Proportional Errors in Variables," International Econometric Review (IER), Economic Research Association, volume 4, issue 2, pages 59-81, September.
• Muhammad Nadim Hanif & Muhammad Jahanzeb Malik & Javed Iqbal, 2012, "Intrinsic Inflation Persistence in a Developing Country," Working Papers, eSocialSciences, number id:5040, Jul.
• Waqas Ahmed & Adnan Haider & Javed Iqbal, 2012, "Estimation of Discount Factor ß and Coefficient of Relative Risk Aversion ? in Selected Countries," Working Papers, eSocialSciences, number id:5087, Aug.
• Santos Silva, Joao M C & Tenreyro, Silvana & Wei, Kehai, 2012, "Estimating the Extensive Margin of Trade," Economics Discussion Papers, University of Essex, Department of Economics, number 8969.
• Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012, "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers, European University Institute, number ECO2012/08.
• Gianna Figa-Talamanca & Maria Letizia Guerra, 2012, "Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 162-179, May.
• Filatriau Olivier & Frédéric Reynès, 2012, "A new estimate of discouraged and additional worker effects on labor participation by sex and age in oecd countries," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2012-09, Feb.
• Joël CARIOLLE, 2012, "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Joël CARIOLLE, 2012, "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Yingyao Hu & Arthur Lewbel, 2012, "Returns to Lying? Identifying the Effects of Misreporting When the Truth Is Unobserved," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 7, issue 2, pages 163-192, June.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012, "Common drifting volatility in large Bayesian VARs," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1206, DOI: 10.26509/frbc-wp-201206.
• Peter Arcidiacono & Patrick Bayer & Federico A. Bugni & Jonathan James, 2012, "Approximating high-dimensional dynamic models: sieve value function iteration," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1210, DOI: 10.26509/frbc-wp-201210.
• Enrique Martínez García & Diego Vilán & Mark A. Wynne, 2012, "Bayesian estimation of NOEM models: identification and inference in small samples," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 105.
• Flavia Barsotti & Simona Sanfelici, 2012, "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-05, Oct.
• Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012, "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-10, Jul.
• Elias Soukiazis & Eva Muchova, 2012, "Slovak economic growth and the consistency of the balance-of-payments constraint approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-16, Oct.
• Ramesh Kumar & Koh Geok Eng, 2012, "Perceived Organizational Commitment And Its Impact To The Turnover Intention: A Correlation Analysis," Journal of Global Business and Economics, Global Research Agency, volume 4, issue 1, pages 40-49, January.
• Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012, "Measuring human development: a stochastic dominance approach," Working Papers, University of Guelph, Department of Economics and Finance, number 1209.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00717629, May.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behaviour : an empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00722032, Jul.
• Eric Heyer & Mathieu Plane, 2012, "Impact des allègements de cotisations patronales des bas salaires sur l'emploi. L'apport des modèles macroéconomiques," Post-Print, HAL, number hal-01024681, Dec, DOI: 10.3917/reof.126.0123.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," Post-Print, HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012, "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print, HAL, number hal-01385835, DOI: 10.1016/j.jempfin.2012.04.010.
• Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2012, "The effects of the subprime crisis on the Latin American financial markets: an empirical assessment," Post-Print, HAL, number hal-01411539.
• Laurent Linnemer & Philippe Février & Michael Visser, 2012, "Testing for asymmetric information in the viager market," Post-Print, HAL, number hal-01629755, Feb, DOI: 10.1016/j.jpubeco.2011.08.010.
• Serge Rey & Olivier Peron, 2012, "Trade and Convergence of Per Capita Income in the Indian Ocean Zone, 1950-2008," Post-Print, HAL, number hal-01885296, DOI: 10.1007/s00168-011-0462-4.
• Jacques Jaussaud & Serge Rey, 2012, "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Post-Print, HAL, number hal-01885297, DOI: 10.1111/j.1468-0106.2011.00569.x.
• Y. Boubacar Mainassara & M. Carbon & Christian Francq, 2012, "Computing and estimating information matrices of weak ARMA models," Post-Print, HAL, number hal-05417544, Feb, DOI: 10.1016/j.csda.2011.07.006.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Post-Print, HAL, number halshs-00717629, May.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2012, "Star wars: The empirics strike back," PSE Working Papers, HAL, number halshs-00710122, Jun.
• Eric Heyer & Mathieu Plane, 2012, "Impact des allègements de cotisations patronales des bas salaires sur l'emploi. L'apport des modèles macroéconomiques," Sciences Po Economics Publications (main), HAL, number hal-01024681, Dec, DOI: 10.3917/reof.126.0123.
• Bernard Salanié & Alfred Galichon, 2012, "Cupid's Invisible Hand: Social Surplus and Identification in Matching Models," Sciences Po Economics Publications (main), HAL, number hal-01053710, Sep.
• Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2012, "Star wars: The empirics strike back," Sciences Po Economics Publications (main), HAL, number halshs-00710122, Jun.
• Bernard Salanié & Alfred Galichon, 2012, "Cupid's Invisible Hand: Social Surplus and Identification in Matching Models," Working Papers, HAL, number hal-01053710, Sep.
• Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2012, "Star wars: The empirics strike back," Working Papers, HAL, number halshs-00710122, Jun.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behaviour : an empirical investigation," Working Papers, HAL, number halshs-00722032, Jul.
• Michel Lubrano & Abdoul Aziz Junior Ndoye, 2012, "Bayesian Unconditional Quantile Regression: An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the U.S. 1992-2009," Working Papers, HAL, number halshs-00790688, Jan.
• Tae-Hwan Kim & Christophe Muller, 2012, "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," Working Papers, HAL, number halshs-00793372, Jun.
• Holmberg, Ulf, 2012, "Error Corrected Disequilibrium," Umeå Economic Studies, Umeå University, Department of Economics, number 837, Feb.
• Holmberg, Ulf, 2012, "Essays on Credit Markets and Banking," Umeå Economic Studies, Umeå University, Department of Economics, number 840, Mar.
• Hiroaki Chigira & Tsunemasa Shiba, 2012, "Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-248, Oct.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-264, Dec.
• Ahmed Bensaida, 2012, "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 51-64, July.
• Bernhard, Sarah & Kruppe, Thomas, 2012, "Effectiveness of further vocational training in Germany : empirical findings for persons receiving means-tested unemployment benefit," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201210.
• Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012, "Averaging of moment condition estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/12, Sep.
• Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012, "Intersection bounds: estimation and inference," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP33/12, Oct.
• Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012, "Local identification of nonparametric and semiparametric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP37/12, Nov.
• Eric Gautier & Stefan Hoderlein, 2012, "A triangular treatment effect model with random coefficients in the selection equation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP39/12, Dec.
• Stefan Hoderlein & Robert Sherman, 2012, "Identification and estimation in a correlated random coefficients binary response model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP42/12, Dec.
• Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2012, "Inference for best linear approximations to set identified functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP43/12, Dec.
• Wildo González, 2012, "Un Gran VAR Bayesiano para la Economia Chilena," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 27, issue 2, pages 75-119, October.
• Kentaro Kikuchi & Kohei Shintani, 2012, "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-04, Apr.
• Kentaro Kikuchi, 2012, "Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-08, Jun.
• Kentaro Kikuchi & Kohei Shintani, 2012, "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 30, pages 75-122, November.
• Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012, "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 1, pages 49-63, Enero-Jun.
• GAALICHE Makram & HAMMAS Mohamed Amine, 2012, "La Micro-Entreprise, Moyen De Lutte Contre La Pauvreté: Mise En Évidence Par L’Application Au Niveau Des Régions Tunisiennes," Romanian Journal of Economics, Institute of National Economy, volume 35, issue 2(44), pages 75-87, December.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 16, May.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 5, May.
• Rothe, Christoph, 2012, "Decomposing the Composition Effect," IZA Discussion Papers, IZA Network @ LISER, number 6397, Feb.
• Pesaran, M. Hashem, 2012, "Testing Weak Cross-Sectional Dependence in Large Panels," IZA Discussion Papers, IZA Network @ LISER, number 6432, Mar.
• Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012, "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," IZA Discussion Papers, IZA Network @ LISER, number 6583, May.
• Sevilla, Almudena & Gimenez-Nadal, José Ignacio & Gershuny, Jonathan I., 2012, "Leisure Inequality in the United States: 1965-2003," IZA Discussion Papers, IZA Network @ LISER, number 6708, Jul.
• Henderson, Daniel J. & Kumbhakar, Subal C. & Parmeter, Christopher F., 2012, "A Simple Method to Visualize Results in Nonlinear Regression Models," IZA Discussion Papers, IZA Network @ LISER, number 6781, Aug.
• Giles, John T. & Murtazashvili, Irina, 2012, "A Control Function Approach to Estimating Dynamic Probit Models with Endogenous Regressors, with an Application to the Study of Poverty Persistence in China," IZA Discussion Papers, IZA Network @ LISER, number 6887, Sep.
• Dupuy, Arnaud & Galichon, Alfred, 2012, "Canonical Correlation and Assortative Matching: A Remark," IZA Discussion Papers, IZA Network @ LISER, number 6942, Oct.
• O'Neill, Donal & Sweetman, Olive, 2012, "The Consequences of Measurement Error when Estimating the Impact of BMI on Labour Market Outcomes," IZA Discussion Papers, IZA Network @ LISER, number 7008, Nov.
• GAALICHE Makram, 2012, "Impact of the Qualitative and Quantitative Aspects of Human Activity on the Ecosystem: Demonstration through the Use of Ecological Footprint Approach," European Journal of Interdisciplinary Studies, Bucharest Economic Academy, issue 02, June.
• David E. Card & David S. Lee & Zhuan Pei & Andrea Weber, 2012, "Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design," NRN working papers, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria, number 2012-14, Nov.
• Vujić Sunčica & Koopman Siem Jan & Commandeur J.F., 2012, "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 6, pages 652-677, December, DOI: 10.1515/jbnst-2012-0607.
• William Barnett & Alfredo Medio & Apostolos Serletis, 2012, "Nonlinear And Complex Dynamics In Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201223, Sep, revised Sep 2012.
• William Barnett, 2012, "Fellowís Opinion Article: Tastes and Technology: Curvature is not Sufficient for Regularity," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201232, Sep, revised Sep 2012.
• William Barnett & Meenakshi Pasupathy, 2012, "Regularity Of The Generalized Quadratic Production Model: A Counterexample," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201235, Sep, revised Sep 2012.
• William Barnett & Apostolos Serletis & Demitre Serletis, 2012, "Nonlinear and Complex Dynamics in Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201238, Sep, revised Sep 2012.
• Mark Podolskij & Mathieu Rosenbaum, 2012, "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, volume 8, issue 1, pages 31-48, February, DOI: 10.1007/s10436-011-0180-z.
• Ba Chu, 2012, "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, volume 8, issue 1, pages 97-122, February, DOI: 10.1007/s10436-011-0182-x.
• Per Mykland, 2012, "A Gaussian calculus for inference from high frequency data," Annals of Finance, Springer, volume 8, issue 2, pages 235-258, May, DOI: 10.1007/s10436-010-0152-8.
• Lan Zhang, 2012, "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, volume 8, issue 2, pages 259-275, May, DOI: 10.1007/s10436-010-0168-0.
• F. Comte & L. Coutin & E. Renault, 2012, "Affine fractional stochastic volatility models," Annals of Finance, Springer, volume 8, issue 2, pages 337-378, May, DOI: 10.1007/s10436-010-0165-3.
• Ba Chu, 2012, "Approximation of Asymmetric Multivariate Return Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 19, issue 3, pages 293-318, September, DOI: 10.1007/s10690-011-9150-8.
• Chin Yang & Anthony Loviscek & Hui Cheng & Ken Hung, 2012, "A Note on Allen’s Arc Elasticity with Arithmetic, Geometric and Harmonic Means," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 40, issue 2, pages 161-171, June, DOI: 10.1007/s11293-012-9315-5.
• Ron Kemp & Nikki Kersten & Astrid Severijnen, 2012, "Price Effects of Dutch Hospital Mergers: An Ex-post Assessment of Hip Surgery," De Economist, Springer, volume 160, issue 3, pages 237-255, September, DOI: 10.1007/s10645-012-9189-6.
• Thorsten Poddig & Albina Unger, 2012, "On the robustness of risk-based asset allocations," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 3, pages 369-401, September, DOI: 10.1007/s11408-012-0190-5.
• Mohammed Bouaddi & Abderrahim Taamouti, 2012, "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 469-494, December, DOI: 10.1007/s11408-012-0199-9.
• R. Pace & Shuang Zhu, 2012, "Separable spatial modeling of spillovers and disturbances," Journal of Geographical Systems, Springer, volume 14, issue 1, pages 75-90, January, DOI: 10.1007/s10109-011-0155-7.
• Qiang Cai & Gerard Rushton & Budhendra Bhaduri, 2012, "Validation tests of an improved kernel density estimation method for identifying disease clusters," Journal of Geographical Systems, Springer, volume 14, issue 3, pages 243-264, July, DOI: 10.1007/s10109-010-0146-0.
• Justin Yates & Sujeevraja Sanjeevi, 2012, "Assessing the impact of vulnerability modeling in the protection of critical infrastructure," Journal of Geographical Systems, Springer, volume 14, issue 4, pages 415-435, October, DOI: 10.1007/s10109-012-0161-4.
• Nolwenn Roudaut & Anne Vanhems, 2012, "Explaining firms efficiency in the Ivorian manufacturing sector: a robust nonparametric approach," Journal of Productivity Analysis, Springer, volume 37, issue 2, pages 155-169, April, DOI: 10.1007/s11123-011-0227-1.
• Liang Peng, 2012, "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 3, pages 804-827, October, DOI: 10.1007/s11146-010-9286-8.
• Octavian Carare, 2012, "Reserve Prices in Repeated Auctions," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 40, issue 3, pages 225-247, May, DOI: 10.1007/s11151-011-9321-9.
• Yoram Amiel & Frank Cowell & Wulf Gaertner, 2012, "Distributional orderings: an approach with seven flavors," Theory and Decision, Springer, volume 73, issue 3, pages 381-399, September, DOI: 10.1007/s11238-011-9243-x.
• Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012, "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-31, Nov.
• Jian Wu & Zhengjun Zhang & Yong Zhao, 2012, "Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory," Journal of Reviews on Global Economics, Lifescience Global, volume 1, pages 62-81.
• Natalia Melgar, 2012, "Interaction Effects in Probit Models, Reinterpreting the Impact of Education on Attitudes Towards Immigrants and Free-Trade," Journal of Reviews on Global Economics, Lifescience Global, volume 1, pages 82-88.
• Fithra Faisal Hastiadi, 2012, "Regionalism in East Asia: The Way Forward," Working Papers in Economics and Business, Faculty of Economics and Business, University of Indonesia, number 201208, Jul, revised Jul 2012.
• Ginters Buss, 2012, "A New Real-Time Indicator for the Euro Area GDP," Working Papers, Latvijas Banka, number 2012/02, Jul.
• Ginters Buss, 2012, "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers, Latvijas Banka, number 2012/06, Dec.
• Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-6.
• Michael Donadelli & Lorenzo Prosperi, 2012, "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1201.
• Otilia Boldea & Alastair R. Hall, 2012, "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 174.
• Badi H. Baltagi & Qu Feng & Chihwa Kao, 2012, "A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 137, May.
• Badi H. Baltagi & Chihwa Kao & Long Liu, 2012, "On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 143, Sep.
• Badi H. Baltagi & Ying Deng, 2012, "EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 146, Oct.
• Donal O'Neill & Olive sweetman, 2012, "The Consequences of Measurement Error when Estimating the Impact of BMI on Labour Market Outcomes," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n232b-12.pdf.
• Burak Saltoglu & M. Ege Yazgan, 2012, "The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 48, issue S5, pages 48-63, November.